欧洲：投资组合策略研究：围绕资产配置和资金流的问答1023

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1、高盛国际高盛国际2012 年 10 月 23 日围绕资产配置和资金流的问答证券研究报告问：投资者目前对股票的配置是否偏低？答：是的，我们认为是这样。我们通过央行、基金管理行业、对冲基金业绩以及期权定价等多方数据来衡量投资资金的配置情况。我们发现投资者在过去几个季度中减持了欧洲股票，股票资产配置相对偏低。养老金和保险公司的股票仓位都处于历史低位，欧洲投资基金的股票仓位也已降至雷曼兄弟(Lehman)破产后的水平。Sharon Bell, CFA+44(20)7552-1341 彼得欧品海默+44(20)7552-5782 高盛国际问：股票投资中有多少是欧洲资产？答：投资基金不仅削减了投票投资，它

2、们还刻意削减了欧洲资产头寸。自 2009年以来欧元区股票基金累计获得资金注入 2,350 亿欧元，但是几乎全部（2,310亿欧元）都投给了非欧洲股票资产。我们还发现有其它迹象显示欧洲股票的配置仓位很低。与美国相比，欧洲衡量看跌-看涨期权价差的偏度数据仍处在低位，我们认为这是配置不足的表现。此外，我们认为对冲基金的表现也说明对欧洲股票的配置不足，尽管有些许迹象显示近几个月来它们激进的悲观看法略有软化。问：这种配置状况能否/是否将发生改变？答：答案不能一概而论。对养老金和保险公司而言，我们认为它们不太可能将大规模资产重新配置到股票投资之中，不过最猛烈的股票抛盘已经过去。对于其它类型基金而言，我们认

3、为它们的资金流取决于经济环境，因此其股票投资有望增长。我们发现欧元区流入股票的资金规模与消费者信心及 PMI 等调查的变化情况有关，因此，如果这些数据持续好转，那么资金流可能转为正向。此时估值无法为流入股票资产的资金流情况提供短期信号。问：欧元区企业是否会像美国公司那样回购股票？Gerald Moser+44(20)7774-5725 Christian Mueller-Glissmann, CFA+44(20)7774-1714 christian.mueller-高盛国际Anders Nielsen+44(20)7552-3000 高盛国际Matthieu Walterspiler+44(

4、20)7552-3403 高盛国际答：是的，这种现象已经出现了。事实上，正是受到股票回购增加的影响，股本基数出现了 2004-2007 年以来的首次萎缩。不过我们认为这种势头不会很猛，因为发行规模的加大应该会抵消这一影响。高盛与其研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。因此，投资者应当考虑到本公司可能存在可能影响本报告客观性的利益冲突，不应视本报告为作出投资决策的唯一因素。 有关分析师的申明和其他重要信息，见信息披露附录，或参阅 由非美国附属公司聘用的分析师不是美国 FINRA 的注册/合格研究分析师。高盛集团22012 年 10 月 23 日欧洲Q&A on positi

5、oning and fund flowsWe look at several different data sources, official data from the ECB and BoE, data from the fundmanagement industry, hedge fund performance data, options pricing, new issuance and M&A toget a measure of investors positioning and fund flows.We conclude that investors have reduced

6、 allocation in Europe in recent quarters and are stillrelatively under positioned (although there is some evidence that hedge funds have slightly pareddown more aggressive negative views). We doubt that pension and insurance companies willswitch back into equities in any significant way, structural

7、factors militate against this. However,investment funds in Europe which have shied away from equities could move back in if conditionsare right we find fund flows are related to the change in consumer confidence and surveys suchas the PMIs and if these continue to improve then flows are likely to be

8、come positive. Meanwhilefor the first time in several years European equity supply is shrinking good news as it shouldcounter a lack of demand for equities.Q: Are investors under positioned in equities?A: Yes, we think that they are. Pension and insurance companies combined own about 5%-15% of the E

9、uropean market (depending on which market). We show their positioning in equitiesversus bonds below. There has been a gradual move out of equities over the last ten years. Thecurrent allocation to equities in both the UK and Euro area is at a low.Exhibit 1: Euro area pension & insurance allocation t

10、oequities has fallen sharply.Exhibit 2: .the switch into bonds has been even moredramatic for UK pension & insurance funds30%25%20%47%45%43%41%39%65%60%55%50%45%40%35%45%40%35%30%25%15%10%Direct holdings in equitiesBonds (RHS)37%35%30%25%20%Direct holdings in equitiesBonds (RHS)20%15%Q11999Q12001Q12

11、003Q12005Q12007Q12009Q12011Q11990Q11993Q11996Q11999Q12002Q12005Q12008Q12011Source: ECB, Goldman Sachs Global ECS Research.Source: BoE, Goldman Sachs Global ECS Research.We find a similar trend for other European investment funds. These funds include closed andopen-ended funds (UCITS) as well as hedg

12、e funds and ETFs. There is not a lack of funds, indeedtotal assets in Euro-area funds currently stand at 7 trillion up from just over 4 trillion in 2009(Exhibit 3). But these incremental funds coming in have not been allocated to equities.高盛全球经济、商品和策略研究32012 年 10 月 23 日Exhibit 3: Assets in Euro-area

13、 funds have risen sharply to 7 trillion.Includes closed and open-ended funds (UCITS), hedge funds and ETFs. Last data point August8000欧洲70006000500040003000200010000euro area investment fundsassets (current EUR 7.0 trillion)Jan-09Jan-10Jan-11Jan-12Source: ECB, Datastream.Exhibit 4 shows the asset sp

14、lit of these investment funds. Equities have fallen to 26% ofholdings versus bonds, which have risen to 36% with the most dramatic move inallocation taking place over the period since the middle of 2011 which coincided withthe rise in fears over the Euro area and sovereign indebtedness.These funds a

15、re not (generally) constrained in the same way as pension and insurance funds byasset-liability matching rules or by other regulations such as risk-weighting equities so theirdecisions should be based on a purer view of risk versus return and they have clearly felt thatequities represent a poor prof

16、ile. We do not have a long time history of comparable data on theseallocations but the only time these funds had such a low allocation to equities was during theLehman crisis period at the end of 2008.Exhibit 4: .but allocations to equities have been falling over the last 2 yearsEuropean Investment

17、fund allocations: last data point August40%35%30%36%Bond高盛全球经济、商品和策略研究25%20%15%10%5%0%Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12Source: ECB, Datastream, Goldman Sachs Global ECS Research.26%EquityMixedOtherReal estateHedge4030-26.9-3042012 年 10 月 23 日欧洲The most recent data published by

18、our financials analysts also shows continued flows into bondfunds: “European investors appetite for fixed income funds shows little sign of abating, withanother strong week of flows. Based on EPFR and EFAMA data, we estimate a weekly net inflowof 8 bn into fixed income funds. Only three weeks into 4

19、Q12 and European investors havealready allocated an incremental 1.2% into bond funds qtd.” See European Flow Monitor: Bondflows and fund performance grow the industry +13% ytd, October 19, 2012.Q: And within equities how are they positioned in Europe?A: Not only have investment funds been reducing e

20、quities they have also reducedEuropean specific exposure. Perhaps the only surprising thing is the aggressiveness of thismove with net selling of European equities of around 4-9 bn every quarter for the last fivequarters (Exhibit 5).Exhibit 5: European investment funds have been big sellers of equit

21、yIncludes closed and open-ended funds (UCITS), hedge funds and ETFs. Last data point 2Q 20125041.4Euro area fund flows into European Equities(EUR bn)20102.814.410.86.612.00-10-0.1-1.3-8.9-9.5-4.2-8.6-20-24.5Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q22009 2009 2009 2009 2010 2010 2010 2010 2011 2011 20

22、11 2011 2012 2012Source: ECB, Datastream.Putting this into context since the beginning of 2009 Euro area based equityinvestment funds have received inflows worth 235 bn in total but nearly all of that,231 bn, has been allocated to equity investments outside of Europe (Exhibit 6).高盛全球经济、商品和策略研究56.870

23、601052012 年 10 月 23 日欧洲Exhibit 6: Since 2009 almost all inflows to European investment funds have been allocatedoutside of EuropeIncludes closed and open-ended funds (UCITS), hedge funds and ETFs. Last data point 2Q 2012250200150Eur bnEuropean investment funds:1005002314Net inflowsPurchases of Euroz

24、one equitiesNet inflows into Eurozone equityinvestment funds 1Q 2009-2Q 2012Purchases of RoW equitiesSource: ECB, Datastream, Goldman Sachs Global ECS Research.This buying of overseas equities has reduced weights in Europe dramatically. At the end of 2008European equity investment funds were roughly

25、 50/50 allocated to Europe and the rest of theWorld. This has shifted so they are now only slightly over a third in Europe. The money has gonealmost entirely to either the US (where weights have increased from 15% to 22% of equity funds)and Emerging markets (where weights have risen from 19% to 30%

26、of funds).Exhibit 7: .this has dramatically shifted weights away from European equitiesIncludes closed and open-ended funds (UCITS), hedge funds and ETFs. Last data point 2Q 2012%49.7European investment funds:58.753.0 54.6 54.860.9 60.3 62.2 60.3 60.5 62.263.3 63.5 64.950403050.347.0 45.4 45.243.241

27、.339.1 39.7 37.8 39.7 39.5 37.836.7 36.5 35.1% in Eurozone equities20% in rest of world equities0Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q22008 2009 2009 2009 2009 2010 2010 2010 2010 2011 2011 2011 2011 2012 2012Source: ECB, Datastream, Goldman Sachs Global ECS Research.Hugo Scott-Gall discussed

28、this shift into EM assets in, Fortnightly Thoughts: The business ofmanaging the worlds savings, September 7, 2012. He commented that money is consistentlymigrating from DM assets to the EMs and this is happening across pretty much all asset classes.The drivers are the poor performance of developed m

29、arkets, and of course this is especially true高盛全球经济、商品和策略研究62012 年 10 月 23 日欧洲in Europe, and the search for growth, again Europes lack of growth prospects given deleveragingand fiscal austerity are a particular worry.There is also evidence of this shift in the UK mutual fund data from the IMA. This

30、includes fundsfrom both institutional and retail investors; they have been divesting heavily of both European andUK equities and investing more in and global equities and in other asset classes especially credit.Exhibit 8 shows the equity flows.Exhibit 8: UK-based mutual funds have moved out of UK/E

31、urope equities12 month fund flows, mn8,0006,0004,0002,0000-2,000-4,000-6,000-8,000Europe equitiesUK equitiesGlobal equities9294969800020406081012Source: IMA, Goldman Sachs Global ECS Research.We find a similar shift in Euro area-based hedge funds allocations. The data is collated by theECB and cover

32、s 170 bn of hedge fund assets based in the Euro area (the majority of thesefunds are registered in Ireland, the Netherlands, Luxembourg and Italy). As for the investmentfunds above, we see a sharp decline in the allocation to Europe. Exhibit 9 shows the percent ofassets allocated to Europe by these

33、hedge funds fell over the summer to the pre-LTRO lowsexperienced at the end of 2011, the latest data point for August shows a very slight up-tick inallocation to Europe.高盛全球经济、商品和策略研究72012 年 10 月 23 日Exhibit 9: Euro area hedge funds are investing less of their assets in Europe.Last data point August

34、44%42%40%38%36%欧洲34%32%30%Euro area hedge fund assets invested inEurope as a % of total assetsFeb-09Aug-09Feb-10Aug-10Feb-11Aug-11Feb-12Aug-12Source: ECB, Datastream, Goldman Sachs Global ECS Research.Within equities funds have been increasing allocations outside of Europe; for example thepercentage

35、 allocation to the US by these Euro-area-based hedge funds has risen to 25% from 8-10% in late 2009.Exhibit 10: . And an increasing proportion of equities in US30%25%20% of Euro area hedge fund equities in USequities21% 21% 21% 21% 21%19%17% 16%24%23%21%25%15%10%10% 10%8%5%0%Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

36、Q4 Q1 Q2 Q3 Q4 Q1 Q22008 2009 2009 2009 2009 2010 2010 2010 2010 2011 2011 2011 2011 2012 2012Source: ECB, Datastream, Goldman Sachs Global ECS Research.The lack of positioning in Europe may also account for the relatively low level of skewin Europe. As Exhibit 11 shows skew the cost of an out-of-th

37、e-money Put relative to a Call anda measure we view as indicative of investors desire to hedge positions moved similarly for theUS and Europe up until late last year. Since then skew on the S&P 500 has stayed relatively highwhereas skew for the Euro STOXX 50 has fallen much more sharply. It could be

38、 that investors donot feel the need to hedge positions in the Euro STOXX 50, but that seems unlikely given theproblems Europe has encountered, another explanation is that investors are not positioned to thelong side in Europe and hence have no need to hedge.高盛全球经济、商品和策略研究182012 年 10 月 23 日欧洲Exhibit

39、11: Significant divergence in 12-month normalised skew between US and Europe12m normalised skew =(12m 25 delta put12m 25 delta call)/ 12m 50 delta call0.55EURO STOXX 50S&P 5000.500.450.400.350.300.25Jan-09Jul-09Jan-10Jul-10Jan-11Jul-11Jan-12Jul-12Source: Goldman Sachs Global ECS Research.And we find

40、 that in the last two years the performance of hedge funds is alsoindicative of a lack of weighting or exposure in Europe. The rolling 2-year correlation ofhedge fund returns on a monthly basis versus the relative performance of European equities isshown in Exhibit 12. For the last few years this co

41、rrelation has been negative suggesting thathedge funds perform better, all other things equal, when European equities are underperforming.The latest data points suggest a modest change in this relationship with hedge fundperformance slightly less negatively correlated to European equities, especiall

42、y formacro hedge funds.Exhibit 12: Hedge fund performance has been negatively correlated with European equitiesrelative performance .but is becoming less soRolling 2-year correl. of monthly hedge fund performance & Europe vs. world equity performanceEquity Hedge fundsMacro hedge funds0.80.60.40.20-0

43、.2-0.4-0.6-0.893 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12Source: HFR, Datastream, Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究92012 年 10 月 23 日欧洲The caveat to this data is that it is based on correlating performance, rather than on actualpositioning, and the relationship therefor

44、e may be indicative of other factors especially in a worldwhere correlations across many asset classes are high. For example, if European equities arehigh beta and hedge funds are positioned to be low beta (because say they are worried aboutChina growth) then the negative relationship may be a funct

45、ion of this beta-position rather than aspecific view/position in Europe. Also macro hedge funds could hold other positions correlatedwith European equities such as peripheral Euro area sovereign debt.Nonetheless given that European risks are an important factor at the moment and the negativerelation

46、ship between hedge fund performance and European equities has been persistent wethink there is good evidence to suggest a negative view on Europe albeit one that may besoftening in recent months. This softening is perhaps a function of the LTRO announcement atthe end of last year and the more recent

47、 ECB statements on supporting peripheral sovereigns. Inaddition growth risks in China and the US have recently risen with the weak economic data fromChina and the dangers of the looming fiscal cliff in the US.Q: Can/will this positioning change?A: The answer here is more mixed. For pension and insur

48、ance companies we doubt that anyreallocation into equities is likely, although some of the worst of the selling may be behind us. Forother funds we find that their flows depend on the economic environment and hence could pick-up.Firstly on insurance companies, our analysts argue that it is unlikely

49、that the insurers willraise weights in equities. At best they may keep them constant. There are three main reasonsfor this:Potentially the biggest impact on insurers asset allocation has been the plannedintroduction of Solvency II. Under the trial run of Solvency II, a capital charge ofbetween 39% a

50、nd 49% has been set for any investment in equities, which is very highrelative to a zero charge for European government bonds. This charge has not beenextensively challenged and is expected to be part of the final framework, implemented atthe start of 2014. In essence equities are too volatile to ba

51、ck constant liabilities and thecapital requirements for holding equities are too high to make it economic.The product mix of the insurers has changed with-profits is a small proportion of newbusiness, which used to be a key driver of equity ownership.As populations age, life insurers and pension fun

52、ds tend to adopt a less aggressiveinvestment strategy, shifting assets from equities to fixed income instruments and otherlow-risk assets to preserve capital and provide guaranteed income streams.In recent months there have been a number of significant moves by regulators to ease conditionsfor insur

53、ers and pension funds related to the use of the long end of the interest rate curve todiscount liabilities. The Danish and Dutch governments for example have moved toward a yieldcurve suggested in the QIS5 (Fifth Quantitative Impact Study), which has been adopted alreadyby companies such as Allianz

54、in its economic capital framework. See Europe Life Insurance:Regulatory changes buy time but important decisions remain, July 23, 2012.For example, the Danish government agreed to introduce a floor interest rate of 4.2%, to be usedto discount both life insurance and pension liabilities beyond 30 yea

55、rs. The impact on the pensionand insurance industry will be marked, with a meaningfully higher discount rate applied to liabilitycalculations.But even so, our analysts argue the most likely impact is to reduce the need for the insurers toraise new capital and to reduce their need for buy long-dated

56、swaps. For the reasons above thereseems little likelihood that they will reallocate to equities.高盛全球经济、商品和策略研究102012 年 10 月 23 日欧洲Much the same is true for the pension funds; again we think that a reallocation backtowards equities is unlikely. Pension funds in the UK are a good example and one where

57、 wehave an excellent long-run history of data. Pension fund net quarterly investments are shown inthe bar chart below. The sterling amount of investment made by pension funds in the first half ofthe year was almost 30 bn. But they divested of 4 bn of equities. So it is not the lack of moneyto invest

58、 from the chart below that is close to an all time high it is the desire to invest inequities which is lacking.Exhibit 13: Plenty of money is being invested by UK pension funds.Latest data point 2Q 201225UK pension funds: Total Net Investment ( billion)20151050-5-10-15-208385878991939597990103050709

59、11Source: Bank of England.Exhibit 14 shows the quarterly net buying (selling) of UK equities by UK pension funds. Everyquarter UK pension funds sell 2-5 bn of UK equities and crucially this has shown very little signof changing in recent quarters despite the historically low yields available on othe

60、r assets. Thisis also despite the under-funding of many pension funds without an allocation to equities itbecomes almost certain that the sponsor will need to inject more cash into the funds.高盛全球经济、商品和策略研究10112012 年 10 月 23 日欧洲Exhibit 14: .just none of it into equities, indeed they continue to sell

61、UK equities million15Net purchases of UK sharesbn50-5-10-15Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q11999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012Source: Bank of England.Pension funds and life insurance companies are tied by their need to meet capital requirementsand/or their

62、need to match future liabilities. These constraints do not typically bind otherfunds and we find that their allocations are much more cyclical and hence could turnif and when confidence and growth in Europe improves.Q: What drives European investment fund flows?A: We find the Euro area investment fu

63、nd flow into equities is driven changes macrofactors such as consumer confidence and earnings.We find a good relationship between the quarterly flows of Euro area investment funds intoEuropean equities (from Exhibit 5 above) and the Euro area equity market; we show therelationship in Exhibit 15. Of

64、course it could be that strong flows are more likely in a rising marketbut given that performance and flows are most strongly correlated in the contemporaneousquarter we think it is likely that at least to some extent the flows themselves are having someinfluence on performance.高盛全球经济、商品和策略研究0.67122

65、012 年 10 月 23 日Exhibit 15: European investment fund flows are correlated with market performanceIncludes closed and open-ended funds (UCITS), hedge funds and ETFs. Last data point 2Q 2012欧洲3020100-10-20-30Performance of European equity market (qoq)Euro area fund flows into European Equities(EUR bn,

66、RHS)50403020100-10-20-30-40Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q22009 2009 2009 2009 2010 2010 2010 2010 2011 2011 2011 2011 2012 2012Source: ECB, Datastream, Goldman Sachs Global ECS Research.What drives these flows? We have quarterly data back to 1Q 2009 and hence only 14 data pointsso the true

67、 strength of relationships is difficult to assess. With this caveat in mind we show thecorrelation between quarterly flows into European equities by investment funds and variousmacro and market indicators.We think they make intuitive sense. To influence flows changes seem to matter more than levels.

68、So the best relationship is with the change in consumer confidence and the change inthe Euro area PMI survey; as these improve you see more flows into Europeanequities. In both cases the levels of these indicators are low (indicating a modest contraction ingrowth) but they have improved over the sum

69、mer.Earnings revisions over the previous three months are also correlated with fund flows. We expectthis earnings season to be weak but not as weak as in 2Q. See Strategy Espresso : European 3QEarnings preview: Small improvement. Remains weak, October 16, 2012.Exhibit 16: European investment fund fl

70、ows relationship with market and macro variablesBased on data from 1Q 2009 to 2Q 2012FactorChange:EuroareaconsumerconfidenceChange:EuroareaManufacturingPMIChange:10yearGermanbondyieldEarningsrevisions3mP/EEuroareaManufacturingPMIEuroareaConsumerconfidence10yearGermanbondyieldDYFundflowlastquarterCor

71、relationwithEurofundflowsintoequities0.610.600.540.380.340.320.280.050.06Source: ECB, Datastream, Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究132012 年 10 月 23 日欧洲What does not seem to support fund flows is valuation it is not enough to be cheap,investors need to see improvements in the economic

72、climate before allocating moreto equities.Indeed we find a slight positive correlation between flows and the level of the P/E: a higher P/E isassociated with more flows, and the DY appears to have no discernible effect at all. Of courselonger term we would still argue that valuation plays a role in

73、determining longer term relativereturns, but our own analysis suggests valuation is not a signal on a time horizon less than a year.See GOAL - Global Strategy Paper: No. 1 - Measuring risks: Valuation vs. Volatility Part 1,October 17, 2012.Given our forecast is for a slight improvement Euro area GDP

74、 growth to 0.1% in 2013 from -0.5%in 2012 this would be supportive of a modest pick-up in flows by investment funds.Q: Could European corporates buy their own equity (as in the US)?A: Yes, and this is already happening. But dont expect it to be dramatic and moreissuance could counterbalance this aff

75、ect.Another potential source of buying for European equities is companies themselves either viabuybacks or a (long awaited) increase in M&A activity. In the US our strategy team have pointedout that the biggest single category of buyer for the US market is companies themselves; in thefirst half of 2

76、012 US companies withdrew over US$500 bn of equity.In Europe the figures are not quite so dramatic but nonetheless net equity supply has recentlyturned negative; there is slightly more withdrawal of equity in the form of buybacks or take-outsthan supply of equity in the form of new issues and IPOs.

77、We discussed this in Strategy Matters:Credit yields to equity stocks attractive vs. corporate debt, September 27, 2012. We argued thatin many countries across Europe the cost of debt is historically low versus the cost of equity,which should mean companies look to withdrawal equity in favour of debt

78、 Siemens has recentlydone exactly that as we discuss in the piece and we point out that more companies could dolikewise.Exhibit 17 shows net equity supply as a percentage of market cap. A negative figure meansequity is being withdrawn from the market. For non financials the scale of net withdraws is

79、 gettingclose to the levels in the private equity/LBO boom of 2004-2007.高盛全球经济、商品和策略研究32-3-4142012 年 10 月 23 日Exhibit 17: Non-financials seeing negative net equity supplyEuropean net equity supply as a percentage of market cap欧洲1614121086420-2-4Non-financialsFinancials9900010203040506070809101112Sou

80、rce: Datastream, Goldman Sachs Global ECS Research.However, one thing this hides is the huge split between markets. Switzerland is seeing net equitywithdrawal worth about 4% of market cap per annum whether or not financials are included(Exhibit 18). In the UK the pace of equity withdrawal is similar

81、 to the US at about 1% of totalmarket cap, with slightly more net equity withdrawal if financials are excluded. For the rest ofEurope the picture differs by country and whether or not financials are included but the amount ofequity withdrawal is more limited. The main reason why overall equity suppl

82、y has turnednegative in Europe has been the buybacks by UK and Swiss companies.Exhibit 18: So far the biggest net equity withdrawal has been in the UK and SwitzerlandNet equity supply as a percentage of market cap4Total marketNon financials10-1-2Equity supply contracting fasterin Switz, UK and US th

83、an in Euroarea-5Source: Datastream, Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究108152012 年 10 月 23 日欧洲Of course while some companies are well financed and can take advantage of swaping equity forrelatively cheap debt others need more capital. New issues have been historically low in the lastfew

84、 years and a backlog of deals halted because of the weak markets has arguably built up.In addition European governments may wish to sell down stakes they own in banks, utilities orother holdings in order to plug their own finances.In Exhibit 19 we show new equity issuance for Euro area ex financials

85、. The average from 2004-2009 was just under EUR 5bn per month, or EU 55bn per annum. But since 2010 the averagehas halved to 2.5 bn per month or c.30 bn per annum. If we assume that the differencerepresents a rough estimate of the backlog then the total backlog built up since the start of 2010would

86、be almost 70 bn. If we spread this over three years and add this to the 55 bn typicalrun-rate, this would entail roughly 2.5% of market cap issued in new equity every year for threeyears. This would certainly be enough to wipe out the current amount of share buybacks.New issuance is naturally lumpy

87、and dependent on the right market conditions and the discussionin the paragraph above is very much a back-of-the-envelope approach but it does illustrate thedanger that any pickup in market activity meets an additional pick-up in placings and new issuescoming to the market that have in recent years

88、been on hold.However, there is not necessarily an inverse relationship between equity supply and marketperformance. In the 1990s the market absorbed new equity supply and still rose as there wasplenty of demand for equity. The likelihood is that you will only see a sharp rise in new issues ifthe mar

89、ket can absorb this and this will only be the case if the macro economics improves andfunds start to buy European equities again.Exhibit 19: Equity issuance has been far lower in recent years but is a backlog building?Euro area monthly Equity issuance, bn2018161412Euro area monthlyIssuance (EUR bn)A

90、verage 2004-2009(EUR 5bn per month)Average 2010-2012(EUR 2.5bn per month)6420Jan-04Jan-05Jan-06Jan-07Jan-08Jan-09Jan-10Jan-11Jan-12Source: ECB, Datastream, Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究1162012 年 10 月 23 日欧洲Q: What could drive corporates to use their cash more aggressively?A: Risk

91、aversion is the main factor which is keeping cash levels high.In Europe companies have cash but will they spend it? As with many things at present this iswrapped up intimately with the risk premium on equities. The chart below shows cash to assetratios for the Euro area non financial corporate secto

92、r (this data is from the national accounts soincludes all companies not just listed ones). This ratio correlates well with the implied ERP wederive from equity market prices. We think it will take a decline in the risk premium forcompanies to use their cash for more active purposes. Of course this a

93、rgument starts tobecome circular when one thing that could sustainably drive a decline in risk aversion is animprovement in growth prospects, which presumably would be helped by companies regainingconfidence and more actively using their cash.Exhibit 20: Companies reluctance to commit cash to invest

94、ment, buybacks or M&A is afunction of the high ERPCash to assets for the Euro areas non financial corporate sector12.512.011.511.010.510.09.5987654329.08.58.0Cash/Assets (%)European Implied ERP (%) (RHS)0-19900010203040506070809101112Source: ECB, Datastream, Goldman Sachs Global ECS Research.Another

95、 potential buyer is via M&A and there are some tentative signs of this picking-up withsome recently announced or proposed deals. However, the actual M&A data remain verysubdued. M&A tends to run in long cycles and respond only slowly to a rise in market values.Indeed it is more likely that merger ac

96、tivity will pick-up after the market has been rising a while asit did in the 2006-07 period and in the late 1990s rather than being a driver of an initial rebound.高盛全球经济、商品和策略研究172012 年 10 月 23 日Exhibit 21: M&A activity tends to lag the market not lead it欧洲140120120100806040200Value of European M&A

97、(6mma)3 year performance of theEuropean stock market (RHS)100806040200-20-40-60Jan-05Jan-06Jan-07Jan-08Jan-09Jan-10Jan-11Jan-12Source: Datastream, Goldman Sachs Global ECS Research.Having said that M&A is running lower than we would expect based merely on recent stockmarket performance (Exhibit 21).

98、 Again this is almost certainly a function of the high risk premium.高盛全球经济、商品和策略研究182012 年 10 月 23 日欧洲信息披露附录分析师申明我们，Sharon Bell, CFA、 彼得欧品海默、 Gerald Moser、 Christian Mueller-Glissmann, CFA、 Anders Nielsen、 Matthieu Walterspiler，在此申明，本报告所表述的所有观点准确反映了我们对上述公司或其证券的个人看法。此外，我们的薪金的任何部分不曾与，不与，也将不会与本报告中的具体推荐

99、意见或观点直接或间接相关。高盛信息披露评级分布/投资银行关系高盛投资研究部的全球研究覆盖范围评级分布投资银行关系买入持有卖出买入持有卖出全球31%55%14%49%42%35%截至 2012 年 10 月 1 日，高盛全球投资研究部对 3,442 种股票评定了投资评级。高盛给予股票在各种地区投资名单中的买入和卖出评级；未给予这些评级的股票被视为中性评级，根据纳斯达克纽约证券交易所的披露要求，这些评级分别对应买入，持有及卖出。详情见以下“公司评级，研究行业及评级和相关定义”部分。美国法定披露任何本报告中研究企业所需的特定公司法定披露见上文：包括即将进行交易的承销商或副承销商，1%或其他股权，特定

100、服务的补偿，客户关系种类，之前担任承销商或副承销商的公开发行，担任董事，担任股票做市及或专家的角色。高盛通常担任本报告中涉及的固定收益证券的做市商，并常作为这些证券的交易对手。以下为额外要求的披露： 股权及重大利益冲突: 高盛的政策为禁止其分析师、分析师属下专业人员及其家庭成员持有分析师负责研究的任何公司的证券。 分析师薪酬: 分析师薪酬部分取决于高盛的盈利，其中包括投资银行的收入。 分析师担任高级职员或董事: 高盛的政策为禁止其分析师、分析师属下人员及其家庭成员担任分析师负责研究的任何公司的高级职员、董事、顾问委员会成员或雇员。 非美国分析师: 非美国分析师可能与高盛无关联，因此可以不受纳斯

101、达克 2711 条/纽约证券交易所 472 条对于与所研究公司的交流、公开露面及持有交易证券的限制。美国以外司法管辖区规定的额外披露以下为除了根据美国法律法规规定作出的上述信息披露之外其他司法管辖区法律所要求的披露。 澳大利亚: Goldman Sachs Australia Pty Ltd 及其相关机构不是澳大利亚经授权的存款机构（1959 年银行法所定义），因此不在澳大利亚境内提供银行服务，也不经营银行业务。本研究报告或本报告的其他形式内容只可分发予根据澳大利亚公司法定义的批发客户，在事先获得高盛许可的情况下可以有例外。 巴西: 与 CVM Instruction 483 相关的信息披露请

102、参阅http:/ CVM Instruction 483 第 16 条，在适用的情况下，对本研究报告内容负主要责任的巴西注册分析师为本报告开头部分标明的第一作者，除非报告末另有说明。 加拿大: 如果本报告与加拿大股票发行人有关，高盛集团已批准本报告，并同意承担有关责任。分析师可进行实地考察，但不可收受公司对此等差旅支付的任何款项或偿付。 香港: 可从高盛（亚洲）有限责任公司获取有关本报告中所研究公司的证券的额外资料。 印度: 有关本研究报告中的研究对象或所提及的公司的进一步信息可能来自高盛（印度）证券私人有限公司。 日本: 见下文。 韩国: 可从高盛（亚洲）有限责任公司首尔分公司获取有关本报告

103、所研究公司的证券的额外资料。 新西兰: Goldman Sachs New Zealand Limited 及其关联机构并非 1989 年新西兰储备银行法定义的“注册银行”或“存款机构”。本研究报告以及本报告的其他形式内容只可分发给 2008 年财务顾问法案定义的 批发客户，在事先获得高盛许可的情况下可以有例外。 俄罗斯: 在俄罗斯联邦分发的研究报告并非俄罗斯法律所定义的广告，而是不以产品推广为主要目的的信息和分析，也不属于俄罗斯法律所界定的评估行为。 新加坡: 可从高盛（新加坡）私人公司（公司编号：198602165W）获取有关本报告中所研究公司的证券的额外资料。 台湾: 本信息仅供参考，未

104、经允许不得翻印。投资者应当谨慎考虑他们自身的投资风险，投资结果由投资者自行负责。 英国: 在英国根据金融服务局的定义可被分类为私人客户的人士参阅本报告的同时应当参阅高盛以往对本报告研究企业的研究报告，并应当参考高盛国际已经发给这些客户的风险警告资料。该风险警告资料复本，以及本报告中采用部分金融辞汇的解释可向高盛国际索取。欧盟: 与欧盟指令 2003/126/EC 第四章(1)(d)和第六章(2)有关的披露信息可参见 http:/ 高盛证券株式会社是依据金融工具与交易法、在关东财务局注册（注册号：No. 69）的金融工具交易商，同时也是日本证券业协会和日本金融期货业协会的成员。股票买卖需要缴纳与

105、客户事先约定的佣金及消费税。关于日本证券交易所、日本证券交易商协会或日本证券金融公司所要求的适用的信息披露，请参见与公司有关的法定披露部分。公司评级、研究行业及评级和相关定义买入、中性、卖出：分析师建议将评为买入或卖出的股票纳入地区投资名单。一只股票在投资名单中评为买入或卖出由其相对于所属研究行业的潜在回报决定。任何未获得买入或卖出评级的股票均被视为中性评级。每个地区投资评估委员会根据 25-35%的股票评级为买入、10-15%的股票评级为卖出的全球指导原则来管理该地区的投资名单；但是，在某一特定行业买入和卖出评级的分布可能根据地区投资评估委员会的决定而有所不同。地区强力买入或卖出名单是以潜在

106、回报规模或实现回报的可能性为主要依据的投资建议。高盛全球经济、商品和策略研究192012 年 10 月 23 日欧洲潜在回报：代表当前股价与一定时间范围内预测目标价格之差。分析师被要求对研究范围内的所有股票给出目标价格。潜在回报、目标价格及相关时间范围在每份加入投资名单或重申维持在投资名单的研究报告中都有注明。研究行业及评级：每个行业研究的所有股票名单可登陆 http:/ 通过主要分析师、股票和行业进行查询。分析师给出下列评级中的其中一项代表其根据行业历史基本面及或估值对研究对象的投资前景的看法。 具吸引力(A)：未来 12 个月内投资前景优于研究范围的历史基本面及或估值。 中性(N)：未来

107、12 个月内投资前景相对研究范围的历史基本面及或估值持平。 谨慎(C)：未来 12 个月内投资前景劣于研究范围的历史基本面及或估值。暂无评级(NR)：在高盛于涉及该公司的一项合并交易或战略性交易中担任咨询顾问时并在某些其他情况下，投资评级和目标价格已经根据高盛的政策予以除去。暂停评级(RS)：由于缺乏足够的基础去确定投资评级或价格目标，或在发表报告方面存在法律、监管或政策的限制，我们已经暂停对这种股票给予投资评级和价格目标。此前对这种股票作出的投资评级和价格目标(如有的话)将不再有效，因此投资者不应依赖该等资料。 暂停研究(CS)：我们已经暂停对该公司的研究。没有研究(NC)：我们没有对该公司

108、进行研究。 不存在或不适用(NA)：此资料不存在或不适用。 无意义(NM)：此资料无意义，因此不包括在报告内。全球产品；分发机构高盛全球投资研究部在全球范围内为高盛的客户制作并分发研究产品。高盛分布在其全球各办事处的分析师提供行业和公司的股票研究，以及宏观经济、货币、商品及投资组合策略的研究。本研究报告在澳大利亚由 Goldman Sachs Australia Pty Ltd（ABN 21 006 797 897）分发；在巴西由 Goldman Sachs doBrasil Corretora de Ttulos e Valores Mobilirios S.A.分发；股票及其他研究在加拿大

109、由高盛集团分发；在香港由高盛（亚洲）有限责任公司分发；在印度由高盛（印度）证券私人有限公司分发；在日本由高盛证券株式会社分发；在韩国由高盛（亚洲）有限责任公司首尔分公司分发；在新西兰由 Goldman Sachs NewZealand Limited 分发；在俄罗斯由高盛 OOO 分发；在新加坡由高盛（新加坡）私人公司（公司号：198602165W）分发；在美国由高盛集团分发。高盛国际已批准本研究报告在英国和欧盟分发。欧盟：高盛国际（由英国金融服务局监管）已批准本研究报告在英国和欧盟分发；Goldman Sachs AG（由联邦金融监管局监管）可能也会在德国分发。一般性披露本研究报告仅供我们的

110、客户使用。除了与高盛相关的披露，本研究报告是基于我们认为可靠的目前已公开的信息，但我们不保证该信息的准确性和完整性，客户也不应该依赖该信息是准确和完整的。我们会适时地更新我们的研究，但各种规定可能会阻止我们这样做。除了一些定期出版的行业报告之外，绝大多数报告是在分析师认为适当的时候不定期地出版。高盛是一家集投资银行、投资管理和证券经纪业务于一身的全球性综合服务公司。高盛全球投资研究部所研究的大部分公司与我们保持着投资银行业务和其它业务关系。美国证券经纪交易商高盛是 SIPC 的成员(http:/www.sipc.org)。我们的销售人员、交易员和其它专业人员可能会向我们的客户及我们的自营交易部

111、提供与本研究报告中的观点截然相反的口头或书面市场评论或交易策略。我们的资产管理部门、自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策。本报告中署名的分析师可能已经与包括高盛销售人员和交易员在内的我们的客户讨论，或在本报告中讨论交易策略，其中提及可能会对本报告讨论的证券市场价格产生短期影响的推动因素或事件，该影响在方向上可能与分析师发布的股票目标价格相反。任何此类交易策略都区别于且不影响分析师对于该股的基本评级，此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力。我们以及我们的关联机构、高级职员、董事和雇员，不包括股票分析师和信贷分析师，将不时地对本研究报

112、告所涉及的证券或衍生工具持有多头或空头头寸，担任上述证券或衍生工具的交易对手，或买卖上述证券或衍生工具。在任何要约出售股票或征求购买股票要约的行为为非法的司法管辖区内，本报告不构成该等出售要约或征求购买要约。本报告不构成个人投资建议，也没有考虑到个别客户特殊的投资目标、财务状况或需求。客户应考虑本报告中的任何意见或建议是否符合其特定状况，以及(若有必要)寻求专家的意见，包括税务意见。本报告中提及的投资价格和价值以及这些投资带来的收入可能会波动。过去的表现并不代表未来的表现，未来的回报也无法保证，投资者可能会损失本金。外汇汇率波动有可能对某些投资的价值或价格或来自这一投资的收入产生不良影响。某些

113、交易，包括牵涉期货、期权和其它衍生工具的交易，有很大的风险，因此并不适合所有投资者。投资者可以向高盛销售代表取得或通过http:/ 取得当前的期权披露文件。对于包含多重期权买卖的期权策略结构产品，例如，期权差价结构产品，其交易成本可能较高。与交易相关的文件将根据要求提供。在撰写研究报告期间，Goldman Sachs Australia 全球投资研究部的职员可能参与本研究报告中所讨论证券的发行人组织的现场调研或会议。在某些情况下，如果视具体情形 Goldman Sachs Australia 认为恰当或合理，此类调研或会议的成本可能部分或全部由该证券发行人承担。所有研究报告均以电子出版物的形式

114、刊登在我们的内部客户网上并向所有客户同步提供。并非所有研究内容都转发给我们的客户或者向第三方整合者提供，高盛也并不对由第三方整合者转发的我们研究报告承担任何责任。有关个股的所有研究报告，请联络您的销售代表或登陆 http:/。披露信息可以查阅 http:/ 或向研究合规部索取，地址是 200 West Street，New York，NY 10282。高盛版权所有 2012 年未经高盛集团公司事先书面同意，本材料的任何部分均不得(i)以任何方式制作任何形式的拷贝、复印件或复制品，或(ii)再次分发。高华证券信息披露一般披露本报告在中国由高华证券分发。高华证券具备证券投资咨询业务资格。本研究报告

115、仅供我们的客户使用。本研究报告是基于我们认为可靠的目前已公开的信息，但我们不保证该信息的准确性和完整性，客户也不应该依赖该信息是准确和完整的。我们会适时地更新我们的研究，但各种规定可能会阻止我们这样做。除了一些定期出版的行业报告之外，绝大多数报告是在分析师认为适当的时候不定期地出版。高盛高华为高华证券的关联机构，从事投资银行业务。高华证券、高盛高华及它们的关联机构与本报告中涉及的大部分公司保持着投资银行业务和其它业务关系。高盛全球经济、商品和策略研究202012 年 10 月 23 日欧洲我们的销售人员、交易员和其它专业人员可能会向我们的客户及我们的自营交易部提供与本研究报告中的观点截然相反的

116、口头或书面市场评论或交易策略。我们的自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策。本报告中署名的分析师可能已经与包括高华证券销售人员和交易员在内的我们的客户讨论，或在本报告中讨论交易策略，其中提及可能会对本报告讨论的证券市场价格产生短期影响的推动因素或事件，该影响在方向上可能与分析师发布的股票目标价格相反。任何此类交易策略都区别于且不影响分析师对于该股的基本评级，此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力。高华证券及其关联机构、高级职员、董事和雇员，不包括股票分析师和信贷分析师，将不时地对本研究报告所涉及的证券或衍生工具持有多头或空头头寸，担

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